The Monthly Effect and the Day of the Week Effect in the American Stock Market

Bing Xiao

International Journal of Financial Research, 2016, vol. 7, issue 2, 11-17

Abstract: This paper examine the recent evolution of seasonal anomalies in the American stock market. This study was based on daily data from the Russell 3000 index over the 2000-2015 period. We examine the recent evolution of the week effect and the monthly effect, and we investigate seasonal patterns in economically favourable times and unfavourable times. We use a UCM model and ARCH model. We find evidence for fixed seasonality with a positive and significant monthly effect. Our study confirms January and December effects to the values of the Russell 3000 index, but we don¡¯t find evidence of the day of the week effect.

Keywords: stock markets; seasonal anomalies; efficiency; economic cycles; monthly effect; day of week effect; ARCH (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/8919/5378 (application/pdf)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/8919 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:7:y:2016:i:2:p:11-17

DOI: 10.5430/ijfr.v7n2p11

Access Statistics for this article

International Journal of Financial Research is currently edited by Gina Perry

More articles in International Journal of Financial Research from International Journal of Financial Research, Sciedu Press
Bibliographic data for series maintained by Gina Perry ().